This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Cross-temporal universality of non-linear dependencies in Asian stock markets

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Kian-Ping Lim () (Labuan School of International Business and Finance, Universiti Malaysia Sabah)
Melvin J. Hinich () (Applied Research Laboratories, University of Texas at Austin)

Additional information is available for the following registered author(s):

Abstract

This study utilizes the Hinich portmanteau bicorrelation test in conjunction with the windowed testing procedure to examine the cross-temporal universality of non-linear dependencies in the returns series for Asian stock market indices. As a whole, the detected non-linear dependencies do not appear to be persistent or stable across time for all the stock markets. In particular, the underlying process is of a switching type, with the pure noise process from time to time switches to a non-linear dependent stochastic process for some unknown length of time, and then switches back to pure-noise. This provides a plausible explanation for the disappointing forecasting performance of many non-linear models, as these existing models do not take note of the episodic transient nature of the non-linear dependency structures.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.economicsbulletin.com/2005/volume7/EB-04G10005A.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 7 (2005)
Issue (Month): 1 ()
Pages: 1-6
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:7:y:2005:i:1:p:1-6

Contact details of provider:
Postal: Economics Bulletin, Department of Economics, 414 Calhoun Hall, Vanderbilt University, Nashville TN 37235, USA
Phone: 615-322-2920
Fax: 615-343-8495
Email:
Web page: http://www.economicsbulletin.com

For technical questions regarding this item, or to correct its listing, contact: (John Conley).

Related research
Keywords: Asian stock markets.; bicorrelation; Non-linearity; windowed testing;

Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. De Gooijer, Jan G., 1989. "Testing non-linearities in world stock market prices," Economics Letters, Elsevier, vol. 31(1), pages 31-35. [Downloadable!] (restricted)
  2. Hinich, Melvin J & Patterson, Douglas M, 1985. "Evidence of Nonlinearity in Daily Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(1), pages 69-77, January.
  3. repec:bep:sndecm:1:1996:2:65-86 is not listed on IDEAS
  4. Sophie Robé & Reinhold Kosfeld, 2001. "Testing for nonlinearities in German bank stock returns," Empirical Economics, Springer, vol. 26(3), pages 581-597. [Downloadable!] (restricted)
  5. Ammermann, Peter A. & Patterson, Douglas M., 2003. "The cross-sectional and cross-temporal universality of nonlinear serial dependencies: Evidence from world stock indices and the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 175-195, April. [Downloadable!] (restricted)
  6. Appiah-Kusi, Joe & Menyah, Kojo, 2003. "Return predictability in African stock markets," Review of Financial Economics, Elsevier, vol. 12(3), pages 247-270. [Downloadable!] (restricted)
  7. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July. [Downloadable!] (restricted)
  8. Antonios Antoniou & Nuray Ergul & Phil Holmes, 1997. "Market Efficiency, Thin Trading and Non-linear Behaviour: Evidence from an Emerging Market," European Financial Management, Blackwell Publishing Ltd, vol. 3(2), pages 175-190. [Downloadable!] (restricted)
  9. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, vol. 28(3-4), pages 315-332, May. [Downloadable!] (restricted)
    Other versions:
  10. Philip Rothman, . "Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test," Working Papers 9813, East Carolina University, Department of Economics. [Downloadable!]
  11. Brooks, Christopher & Hinich, Melvin J, 1998. "Episodic Nonstationarity in Exchange Rates," Applied Economics Letters, Taylor and Francis Journals, vol. 5(11), pages 719-22, November. [Downloadable!] (restricted)
  12. Sarantis, Nicholas, 2001. "Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence," International Journal of Forecasting, Elsevier, vol. 17(3), pages 459-482. [Downloadable!] (restricted)
  13. Panas, Epaminondas, 2001. "Estimating Fractal Dimension Using Stable Distributions and Exploring Long Memory through ARFIMA Models in the Athens Stock Exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 11(4), pages 395-402, August. [Downloadable!] (restricted)
  14. Barkoulas, John & Travlos, Nickolaos, 1998. "Chaos in an Emerging Capital Market? The Case of the Athens Stock Exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 8(3), pages 231-43, June. [Downloadable!] (restricted)
  15. Abhyankar, A & Copeland, L S & Wong, W, 1995. "Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom," Economic Journal, Royal Economic Society, vol. 105(431), pages 864-80, July. [Downloadable!] (restricted)
  16. Ramsey, James B. & Zhang, Zhifeng, 1997. "The analysis of foreign exchange data using waveform dictionaries," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 341-372, December. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Phillip Wild & Melvin J. Hinich & John Foster, 2008. "Are Daily and Weekly Load and Spot Price Dynamics in Australia’s National Electricity Market Governed by Episodic Nonlinearity?," Discussion Papers Series 368, School of Economics, University of Queensland, Australia. [Downloadable!]
  2. Kian-Ping Lim & Melvin J. Hinich, 2005. "Non-linear Market Behavior: Events Detection in the Malaysian Stock Market," Economics Bulletin, Economics Bulletin, vol. 7(6), pages 1-5. [Downloadable!]
  3. Phillip Wild & Melvin J. Hinich & John Foster, 2008. "The Use of Trimming to Improve the Performance of Tests for Nonlinear Serial Dependence with Application to the Australian National Electricity Market," Discussion Papers Series 367, School of Economics, University of Queensland, Australia. [Downloadable!]
Statistics
Access and download statistics

Did you know? IDEAS also indexes software components.

This page was last updated on 2009-11-16.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.